Flexible Port's

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Jul 5, 2007 6:29 pm

So I have been allocating more and more money into flexible portfolios of late. I like their ability and freedom to go into any market to look for opportunities. I have been using Ivy Asset Strategy and Blackrock Global Allocation for about a 15% weighting there. 5% each goes to a couple tactical funds I have had success with.. The remainder goes into core LC G, LC V, International, etc.


My question- I have been trying to find another Flex Port to complement the Ivy and Blackrock... Anybody favor a particular fund??? Thanks in advance...

Jul 5, 2007 6:34 pm

Take a look at some of Rydex’s funds.

Jul 5, 2007 7:18 pm

ACEIX…

Jul 5, 2007 7:20 pm

Evergreen Asset Allocation

GMO

EAAFX or EACFX

Jul 5, 2007 8:43 pm

[quote=blarmston]

So I have been allocating more and more money into
flexible portfolios of late. I like their ability and freedom to go
into any market to look for opportunities. I have been using Ivy Asset
Strategy and Blackrock Global Allocation for about a 15% weighting
there. 5% each goes to a couple tactical funds I have had success
with… The remainder goes into core LC G, LC V, International, etc.

My question- I have been trying to find another Flex Port to complement the Ivy and Blackrock... Anybody favor a particular fund??? Thanks in advance...

[/quote]

Maybe I'm being a little extreme here, but as I understand it.

Strategic Asset allocation funds are supposed to be one shot deals. Either you trust them to pick assets/time markets properly (and thus should invest in them 100%) or you don't. If you only put 15% into one, while keeping the rest of the portfolio fixed, how much alpha can the fund deliver? If you yourself make tactical asset allocation decisions, then including someone elses TAA, would dilute the impact of your efforts.

In theory it seems that a portfolio should be composed of only a riskless asset(s) + a strategic allocation fund.

From what I've seen, GMO/Evergreen allocation fund is well regarded. PIMCO runs two as well (All asset (long only)/All asset all authority (Long + possible short).

IMHO if you want something truly different (and thus possibly useful) I'd look at the Calamos Market Neutral Income Fund. An interting fund which uses a combination of covered call writing and convertable arbitrage to generate income

 
Jul 6, 2007 12:39 pm

IMHO if you want something truly different (and thus possibly useful) I'd look at the Calamos Market Neutral Income Fund. An interting fund which uses a combination of covered call writing and convertable arbitrage to generate income.

The Calamos fund is actually one fund I have been doing diligence on... When including that into my mix, it achieves the beauty of being a non-correlating asset that reduces Stan.Dev and increases the return. Most importantly, it smooths out the ride....

Jul 6, 2007 3:04 pm

[quote=blarmston]

IMHO if you want something truly different
(and thus possibly useful) I’d look at the Calamos Market Neutral
Income Fund. An interting fund which uses a combination of covered call
writing and convertable arbitrage to generate income.

The Calamos fund is actually one fund I have been doing diligence on... When including that into my mix, it achieves the beauty of being a non-correlating asset that reduces Stan.Dev and increases the return. Most importantly, it smooths out the ride....[/quote]

Any fixed income vehicle is going to do that. E.g you take an account that is 100% risky assets, and change to 90% Risky 10% T-bills. Voila! you've just lowered volatility by 10% and "smoothed out the ride" via the riskfree returns of T-Bills.

In the wrong circumstances CMNIF could take a beating. Those sorts of strategies rely on realised volatility being less than implied volatility (Covered Calls) or more than implied (Convertable Arb).

I think Calamos/Claymore (LCM) has a CEF or two that does the same strategy.

However, the convert side is subject to credit risk, as most of the companies issuing converts are fairly junky. If stock markets were to tank hard, *and* there were to be tight credit conditions, that fund could take some hits. It also doesn't yeild very much, and expenses are fairly high.

That's a big blind spot in alot of people who try to make optimised portfolios. They assume correlations will be constant and consistant as past correlations. Lots of assets become more correlated with equities as equity volatility rises, owing to flight to quality effects.